It measures the slope of the option price vs underlying asset price curve shown in figure 1.

Estimating the slope of the curve from first principles also referred to in mathematics as the delta method. The VBA code is based on material in the Black-Scholes module.

Equations 3 and 4 are implements in rows 14 and 15 of the OptDelta procedure. You can copy code from the code panel, or download the xlsm file from the link at the bottom of this module.

Blogs on option trading F, and M Scholes,The pricing of options and delta curve call option liabilities, Journal of Political EconomyVol 81 No 3 pp Kwok, Y-K,"Mathematical models of financial derivatives", 2nd ed. Maths Refresher W'shops XLF: Treasury management Home Excel at Delta from first principles Estimating the slope of the curve from first principles also referred to in mathematics as the delta method.

Option delta in VBA The VBA code is based on material in the Black-Scholes module.